This style looks way more difficult than it actually is. It's all about being delicate when you "scrunch" up your braid.
The "Scrunchy" Braid:
Step 1: Separate a section of hair next to your part, either in the front or middle of your head (I chose the middle).
Step 2: Start a standard braid, keep it loose all the way to the end. If you can, pay attention to which strand you started with and try to end with that piece identified (need this info for the next step).
Step 3: When you finish the braid, combine two of the strands together in one hand and keep one strand separate (the strand you started the braid with).
Step 4: Tightly hold this single strand of hair straight down as you slide up the hair in your other hand (with the two combined pieces of hair) and let the hair gather into a "scrunchy" braid.